Money lives in a fire-proof safe. As far as investing goes, I've thought about it. What I think will probably eventually happen is that, when my partner is working, we'll use my income for buying things, rent, and donations, while saving and investing most of his.
I've never known anyone who got in trouble for not paying taxes, but I'm sure it happens. Most of the people I know who've had trouble with their money are just shitty at managing it; they spend beyond their means, don't save anything, get into a druggy lifestyle, that kind of thing. Drugs especially are a problem, because the moment an escort gets a reputation for having a drug issue, higher-class clients stop seeing her (because they don't want to get arrested) and she generally has to drop her rates. Lowered rates bring lower-class clients, who are more likely to bring drugs in, screwing up her reputation even further as well as increasing the likelihood of legal attention. At this point, the escort's best bet is to get clean, move, change her working name, and start over without the benefit of reviews, but not everyone can manage that.